Very good point. Obviously, if you believe you're all Mobbed up you might actually have a sense of bravo thinking no one can get me, here's my name.
I'm still of thinking that it's a significant advantage to use your real name, giving out real background information and legitimate personal information when recruiting investors or sports touting, etc... it gives a better sense of integrity.
Red probably started using his real name at a time before anyone really imagined the internet and technology nowadays. Suddenly you win a tournament and are using your name writing for a publication. It would be better to keep on keeping on using your name.